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researcher

I. Wilms

26 papers hereh-index 14706 citations56 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • first author11
  • middle author2
  • last author12

Across the 25 of 26 papers where every author was matched, so the position is known.

fields
  • stat.ME10
  • econ.EM7
  • stat.AP4
  • econ.GN2
  • q-fin.ST1
  • stat.CO1

identity via Semantic Scholar / OpenAlex

activity
20152023
most citedInterpretable Vector AutoRegressions with Exogenous Time Series

8 citations · 19 across the 15 of their papers we have counts for

collaborators
Showing q-fin.STShow all

1 paper · 1 filter

q-fin.ST2017

Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach

Luca Barbaglia, Christophe Croux, Ines Wilms

Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could affect the volatility of another asset tomorrow. These lagged effe…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.